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@wesleywilian
Description
Expected Behavior
Run backtests and plots with multiple threads without concurrency problems.
Actual Behavior
Multithreaded execution results in data inconsistency. When plotting. (and backtesting maybe?)
Steps to Reproduce
- Run this code.
import os import threading from uuid import uuid4 from backtesting import Backtest, Strategy from backtesting.lib import crossover from backtesting.test import GOOG, SMA from flask import Flask from waitress import serve app = Flask(__name__) class SmaCross(Strategy): n1 = 15 n2 = 30 def init(self): setattr(self, "sma1", self.I(SMA, self.data.Close, self.n1)) setattr(self, "sma2", self.I(SMA, self.data.Close, self.n2)) def next(self): if crossover(getattr(self, "sma1"), getattr(self, "sma2")): self.buy() elif crossover(getattr(self, "sma2"), getattr(self, "sma1")): self.sell() class Backtesting: def compute(self): bt = Backtest(GOOG, SmaCross, cash=10000, commission=.002, exclusive_orders=True) bt.run() file_uuid = str(uuid4()) filename = "/tmp/backtest_plot_" + file_uuid + ".html" print("thread:", threading.get_ident(), "start creating file:", filename) bt.plot(open_browser=False, filename=filename) try: f = open(filename) some_raw_data = f.read() f.close() os.remove(filename) except FileNotFoundError: some_raw_data = "" print("thread:", threading.get_ident(), "file:", filename, "not found!") print("thread:", threading.get_ident(), "end creating file:", filename) return "" @app.route('/', methods=['GET']) def index(): return Backtesting().compute() if __name__ == '__main__': serve(app, host='0.0.0.0', port=9090, threads=10)
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Open two terminals and run on both (or use jmeter or something like that):
while true ; do curl localhost:9090 ; done -
Check the logs
thread: 140514310731520 start creating file: /tmp/backtest_plot_bd84f04f-6c98-4180-9d4a-e353d917b4c3.html
thread: 140514302338816 start creating file: /tmp/backtest_plot_46abb441-d70a-472b-b67e-de446dd4d8c1.html
thread: 140514310731520 file: /tmp/backtest_plot_bd84f04f-6c98-4180-9d4a-e353d917b4c3.html not found!
thread: 140514310731520 end creating file: /tmp/backtest_plot_bd84f04f-6c98-4180-9d4a-e353d917b4c3.html
thread: 140514302338816 end creating file: /tmp/backtest_plot_46abb441-d70a-472b-b67e-de446dd4d8c1.html
simplifying...
thread: 1 start creating file: A
thread: 2 start creating file: B
thread: 1 file: A not found!
thread: 1 end creating file: A
thread: 2 end creating file: B
The "thread 1" starts creating the "A" file, then the "thread 2" starts creating the "B" file.
As we can see, there is a inconsistency due the threads usage (sorry for the flask example).
I suspect, the problem is the "SmaCross" and "Strategy" classes.
@kernc would you have suggestions, how we can fix this ?
Additional info
- Backtesting version: 0.2.1